Roger Benningfield pointed out to me that most clients use a value from a Last-Modified header as the value sent in the If-Modified-Since. So you will want to ensure that you are setting that header as well, if your planning on checking for If-Modified-Since. To add it simply use the cfheader tag:
<cfheader name="Last-Modified" value="#lastModifiedDate#">
Again make sure the date uses the correct format, use the GetHttpTimeString() function.
Roger also has a post on supporting conditional GETs with ColdFusion. I will post some info on ETags soon.